Default Risk in Equity Returns
Title: Default Risk in Equity Returns: a Study on Augmentation of the Three-Factor Model of Fama and French with Default Risk Factor Seminar date: June 7th, 2010 Course: Master Degree Project in Finance, 15 ECTS, BUSM65 Authors: Holst, Aracelly and Martynenko, Olena Supervisor: Forssbaeck, Jens Key words: ASSET PRICING, DEFAULT RISK, FACTOR MIMICKING PORTFOLIO, FACTOR RISK PREMIUM Purpose: T